Select date

Month

Day

Year

Exchange

Type

EnclearExchange

LSE Derivatives Market

Risk parameter files are required to calculate London SPAN initial margins. They contain details of all the London SPAN parameters as well as the theoretical profits and losses for each of the SPAN scenarios. Risk parameter files are required if calculating initial margin using PC London SPAN. They can also be loaded into other systems used to calculate London SPAN initial margin.

Due to the size of the Risk Parameter file, a compressed (Pkzip) format is available for the LSE Derivatives Market exchange in addition the standard uncompressed version. The EnClear file is smaller and only available as a standard format.

Email our Web Administrator with suggestions or comments or call the Help Desk on 020 7426 7200

PC London SPAN

PC London SPAN is a PC-based system, used to calculate margins for LME contracts using the London SPAN method. Version 4.0 includes the following enhancements:

Multi-Tier Inter-Commodity Spread Credits
This process adds a new approach to the existing inter-contract spread method and caters for the separate processing of index futures and options.

Strategy Spread Charges
Where defined, strategy spreads will be processed prior to the inter-month spread charges, thereby reducing monthly deltas. Any residual delta will be processed in the multi-tier inter-month spread calculation.